Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0240 |
| Annualized Std Dev | 0.2506 |
| Annualized Sharpe (Rf=0%) | 0.0959 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5555.0000 |
| NAs | 1.0000 |
| Minimum | -0.1302 |
| Quartile 1 | -0.0072 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0079 |
| Maximum | 0.1437 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0158 |
| Skewness | -0.3020 |
| Kurtosis | 6.7849 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0115 |
| Gain Deviation | 0.0108 |
| Loss Deviation | 0.0122 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0114 |
| Downside Deviation (0%) | 0.0114 |
| Maximum Drawdown | 0.6815 |
| Historical VaR (95%) | -0.0244 |
| Historical ES (95%) | -0.0383 |
| Modified VaR (95%) | -0.0249 |
| Modified ES (95%) | -0.0453 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-15 | 2009-03-09 | 2018-01-16 | -0.6815 | 2582 | 352 | 2230 |
| 1999-01-07 | 2003-03-12 | 2007-03-20 | -0.6418 | 2028 | 1025 | 1003 |
| 2020-02-13 | 2020-03-18 | 2020-07-20 | -0.3529 | 109 | 24 | 85 |
| 2018-01-29 | 2018-12-24 | 2020-01-02 | -0.2553 | 486 | 229 | 257 |
| 2007-07-20 | 2007-08-16 | 2007-10-01 | -0.1323 | 51 | 20 | 31 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | -0.5 | -3.7 | -0.5 | 0.7 | -0.3 | -0.3 | 1.3 | 1.3 | -0.5 | -2.9 | -0.3 | 0.7 | -4.9 |
| 2000 | 1.7 | 1.6 | 0.3 | 1.4 | -1 | 1.3 | -1.3 | 1.6 | 0.3 | -1.4 | 2 | -1.4 | 5 |
| 2001 | 1.2 | -0.7 | 0.7 | 1.6 | -0.5 | 0.8 | 0.7 | -3.5 | -2.8 | 1.5 | 0.5 | 1 | 0.3 |
| 2002 | 0.7 | 1 | 2.9 | -0.7 | 0.9 | 0 | -3.7 | 0.1 | 2.9 | 0.8 | -1.3 | 1.1 | 4.7 |
| 2003 | 0.1 | 2.7 | 3.5 | -0.4 | 1 | 0.1 | -0.4 | 0.3 | 3.1 | 1.2 | 1 | -0.2 | 12.5 |
| 2004 | 0.7 | 0.9 | 1.6 | 1.3 | -0.7 | -0.5 | -1.3 | 0.8 | 1.7 | -0.7 | 1.5 | -0.5 | 4.9 |
| 2005 | 1.4 | -0.2 | -1.4 | 1 | 0.8 | -0.3 | 1.2 | 0.7 | 0.1 | 1.1 | 1.7 | -0.6 | 5.4 |
| 2006 | 0.7 | 0.7 | -0.7 | -0.9 | 0.4 | 2.3 | -0.8 | 0.5 | -0.2 | -0.6 | -0.5 | 0.2 | 1 |
| 2007 | 0.9 | -1.7 | 0.2 | 0.1 | -0.3 | 0.2 | 0.7 | 1.4 | 1.6 | -1.7 | 0.3 | -1 | 0.5 |
| 2008 | 1.6 | -2.6 | 2.5 | 1.1 | 1.2 | -0.7 | -1 | -0.9 | 0.2 | 2.1 | -8.4 | -0.1 | -5.4 |
| 2009 | -1 | 0.2 | 2.2 | 1.2 | 1.8 | 1.8 | 2.4 | -2.8 | -2.9 | -3.6 | 3 | -1.1 | 0.8 |
| 2010 | 2.3 | 1.5 | 2.7 | -1.1 | -1.2 | 2.2 | -0.3 | 3.7 | 0.8 | -0.4 | 3.9 | 1.3 | 16.4 |
| 2011 | 2.7 | -0.8 | 0.7 | 1.4 | -2.3 | 1.3 | -1.2 | -1.7 | -4 | -4.6 | -1.7 | 0.2 | -9.8 |
| 2012 | 2.3 | 1.1 | 0.8 | 0.3 | -2.7 | 5.3 | -0.1 | 1.4 | 0.8 | 1.3 | 0.1 | 1.8 | 13 |
| 2013 | 1.7 | -0.6 | -0.8 | -0.6 | -2.1 | 1 | 1.3 | -1.1 | 1.1 | -0.6 | 0.1 | 0.5 | -0.1 |
| 2014 | -1.7 | 0.4 | 0.8 | 0.1 | 0.2 | 0.5 | -0.4 | 0 | -1.2 | 1.3 | 0.1 | -0.4 | -0.4 |
| 2015 | -1.3 | -0.1 | 0.6 | 1 | -0.7 | 1.1 | 0.6 | -2.6 | -0.6 | -0.2 | 0.2 | -1.7 | -3.6 |
| 2016 | 0.1 | 3.5 | -0.4 | -0.4 | 0.5 | -0.2 | -0.9 | 0.7 | 1.7 | -0.5 | -1 | 0.5 | 3.7 |
| 2017 | 0.1 | 1.3 | 0.1 | 0.6 | 0.8 | 0.4 | 0.3 | 0.1 | 1 | -0.1 | -0.5 | 0 | 4.2 |
| 2018 | 0.4 | -1 | 0.6 | -0.5 | 1 | 1 | -0.2 | -0.9 | 0.2 | 2.8 | -0.3 | 0.7 | 3.7 |
| 2019 | 0.4 | 0.5 | 1.3 | -0.7 | -0.9 | 0.8 | -0.1 | 0.7 | -0.7 | 1.1 | -0.3 | 0.4 | 2.4 |
| 2020 | -1.9 | -0.8 | -4.3 | -2.3 | 1.2 | 0.8 | -1.6 | 0.9 | 1.7 | -1.1 | 2.7 | -1 | -5.9 |
| 2021 | 2.2 | 1.9 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
